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WTI Options Liquidity During Non-U.S. Hours

Highlights:

  • Over 80% of WTI Options (LO) have traded electronically for almost 3 years straight
  • LO volume continues to be driven by spread trading—a record 59% of LO volume was executed via spreads in March 2020
  • A record 21% of WTI Options are being traded overnight YTD in 2020 with ETH ADV at 31k
  • LO ADV traded during London Morning Hours is at 21k YTD, with a record 14% of total ADV executed during this time frame each day

New Expiration Rules for Brent Options

Highlights:

Brent Crude Oil options (BZO) will be auto-exercised with no contrary instructions allowed beginning with the March 2020 contract expiration on NYMEX. The new options expirations rules allow a simpler and more transparent expiration process for traders hedging the volatile crude oil market.

For More Information:    

Clearing CME Globex Floor CME ClearPort Product Name Subgroup Exchange Volume Open Interest
LN LNE - LN Natural Gas Option (European) Natural Gas NYMEX 203,152 2,660,254
LO LO - LO Crude Oil Option Crude Oil NYMEX 117,896 1,618,908
ON ON - ON Natural Gas Option (American) Natural Gas NYMEX 15,324 85,563
G4 G4X - G4 Natural Gas (Henry Hub) Last-day Financial 1 Month Spread Option Natural Gas NYMEX 7,400 158,621
BZO BZO - BZO Brent Crude Oil Futures-Style Margin Option Crude Oil NYMEX 5,446 81,523
G3 G3B - G3 Natural Gas (Henry Hub) Last-day Financial 3 Month Spread Option Natural Gas NYMEX 4,100 154,055
OH OH - OH NY Harbor ULSD Option Refined Products NYMEX 1,406 17,795
LC LCE - LC Light Sweet Crude Oil European Financial Option Crude Oil NYMEX 1,260 33,271
AO AAO - AO WTI Average Price Option Crude Oil NYMEX 996 313,484
OB OB - OB RBOB Gasoline Option Refined Products NYMEX 845 10,226
Trade Date: 17 Sep 2020 | FINAL

Note: Volume and Open Interest data is from the previous trade date. Preliminary data updates at approximately 9:00 p.m. CT and the final update is at 10:00 a.m. CT next business day.

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